Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities

Gilles de Truchis and Benjamin Keddad ()

No 2014-382, Working Papers from Department of Research, Ipag Business School

Abstract: Two integrated financial markets are generally subjected to common shocks revealing that commonalities in funda- mentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory

Keywords: Integrated volatility; Co-persistence; Fractional Cointegration; East Asian Stock Markets; Financial Integration (search for similar items in EconPapers)
JEL-codes: C22 F36 G15 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2014-01-01
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities (2013)
Working Paper: Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities (2013)
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